Exact and Fast Simulation of Max-Stable Processes on a Compact Set Using the Normalized Spectral Representation

M Oesting, M Schlather, Chen Zhou

Research output: Contribution to journalArticleAcademicpeer-review

15 Citations (Scopus)

Abstract

The efficiency of simulation algorithms for max-stable processes relies on the choice of the spectral representation: different choices result in different sequences of finite approximations to the process. We propose a constructive approach yielding a normalized spectral representation that solves an optimization problem related to the efficiency of simulating max-stable processes. The simulation algorithm based on the normalized spectral representation can be regarded as max-importance sampling. Compared to other simulation algorithms hitherto, our approach has at least two advantages. First, it allows the exact simulation of a comprising class of max-stable processes. Second, the algorithm has a stopping time with finite expectation. In practice, our approach has the potential of considerably reducing the simulation time of max-stable processes.
Original languageEnglish
Pages (from-to)1497-1530
Number of pages34
JournalBernoulli
Volume24
Issue number2
DOIs
Publication statusPublished - 2018

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